Financial Crisis of 2007-2009 and Stress Test with Structural Changes for the Brazilian Financial Market

The financial crisis of 2007-2009 indicates the importance of analysis committed to measuring risk involving financial activities. Thus, the central objective of this work is to estimate parameters of a financial distress in daily return series of the Brazil’s market index (Bovespa index) on the daily return series of the major companies’ stocks in the Brazilian financial market, considering the period of international economic crisis and possible structural changes in the stress parameters. In this way, we capture the spillover effects using the methodology CoVaRand analysis of structural changes in Quantile Regression (QR). The results show that some of the reaction coefficient of the stock returns of companies operating in the Brazilian financial market had structural changes, as well as the value at risk of the market index decreased between the two periods. In general, the marginal contribution of financial distress in the market index generated a lower stress on the returns of companies stocks after the international crisis, possible indicating Basel III effects on Brazilian financial markets.